One-dimensional BSDEs with finite and infinite time horizons

DOI10.1016/j.spa.2010.11.008zbMath1219.60059OpenAlexW2000345319MaRDI QIDQ550145

Long Jiang, Sheng-Jun Fan, De-Jian Tian

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.11.008

zbMATH Keywords

comparison theoremexistence and uniquenessbackward stochastic differential equationuniformly continuous generatormonotonic generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• BSDE with quadratic growth and unbounded terminal value
• \(L^p\) solutions of backward stochastic differential equations.
• Stochastic Hamilton–Jacobi–Bellman Equations
• Backward Stochastic Differential Equations in Finance

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